Hello,
i have the following problem. My dataset is panel data like the extract below shows.
Concerning the model structure I ran a Hausman test with the result that a fixed effects model should be applicable.
After that I ran several other Regression diagnostics : Homoscedasticity, autocorrelation and multi-collinearity.
The tests revealed that both heteroscedasticity and autocorrelation are present in my model.
Reading some other papers left me with the following solution: Newey West Standard Errors.
My regression equation now should look like this:
newey dep indep1 indep2 indep3 ... i.year i.industry, lag(X) force
The force command is needed because of the panel data form. My question is now how to compute the lag?
Should i use X=1 or is there a standard variable?
Best regards
Nic
i have the following problem. My dataset is panel data like the extract below shows.
Obs_ | year | id | conm | age | patents | cites |
1 | 1976 | 32 | A & E PLASTIK PAK INC | 1 | 2 | 21 |
2 | 1977 | 32 | A & E PLASTIK PAK INC | 2 | 3 | 31 |
3 | 1976 | 370 | A.B.A. INDUSTRIES INC | 1 | 0 | 0 |
4 | 1977 | 370 | A.B.A. INDUSTRIES INC | 2 | 0 | 0 |
5 | 1978 | 370 | A.B.A. INDUSTRIES INC | 3 | 0 | 0 |
6 | 1979 | 370 | A.B.A. INDUSTRIES INC | 4 | 0 | 0 |
7 | 1980 | 370 | A.B.A. INDUSTRIES INC | 5 | 0 | 0 |
8 | 1981 | 370 | A.B.A. INDUSTRIES INC | 6 | 0 | 0 |
9 | 1979 | 774 | ABKCO INDUSTRIES INC | 1 | 0 | 0 |
10 | 1980 | 774 | ABKCO INDUSTRIES INC | 2 | 0 | 0 |
11 | 1981 | 774 | ABKCO INDUSTRIES INC | 3 | 0 | 0 |
12 | 1982 | 774 | ABKCO INDUSTRIES INC | 4 | 0 | 0 |
13 | 1983 | 774 | ABKCO INDUSTRIES INC | 5 | 0 | 0 |
After that I ran several other Regression diagnostics : Homoscedasticity, autocorrelation and multi-collinearity.
The tests revealed that both heteroscedasticity and autocorrelation are present in my model.
Reading some other papers left me with the following solution: Newey West Standard Errors.
My regression equation now should look like this:
newey dep indep1 indep2 indep3 ... i.year i.industry, lag(X) force
The force command is needed because of the panel data form. My question is now how to compute the lag?
Should i use X=1 or is there a standard variable?
Best regards
Nic